I was gonna say a shotgun but in the first Gears of War in multiplayer my favourite weapon was the Snub Pistol. With this weapon I would sneak up on opponents (like a Ninja ) and melee them from behind until they got downed.

A quick melee followed by 2-3 rapid shots was enough to down someone. I would then leave them down and hide close by so when a team mate came to pick them up I would do the same to them. This was a great tactic but sure got a few players angry after a while!